Using Hong Kong bought Apple Watch 4 Cellular function in europe (with Eu local operator) is possible?

Your plan might work by having cellular accounts in both countries, but we can’t be certain. The same regional version is posted as compatible with HK and Italy in Apple Watch - Carriers - Apple. I think it would probably require wiping the watch and re-pairing after swapping the SIM in your iPhone, so it would mean some extra work.

However, there is a note in the entry for HK watches “This product has been optimized for use in Hong Kong and will not work in mainland China.” and there is no guarantee a HK watch will work outside HK networks or be accepted by an Italian network, until you try it for the first time.

Regretfully, the Apple Watch cannot roam on cellular networks. But, of course, you can use Wi-Fi when travelling.

However, this article explains a method that you could use to swap SIM cards in your phone to be able to use your eSIMs in the two countries (hint: reset network settings):

https://www.imore.com/how-roam-your-apple-watch-and-use-lte-data-foreign-country

You have the correct general concept in your mind. Be aware that the cellular function requires the Apple Watch to be configured as a second device in the iPhone’s calling plan, and I will remind you roaming is not supported so the watch cellular will only work on the home network for the iPhone’s SIM. In your case that means you will need a cellular account for your iPhone in both HK and Italy, both configured with the Apple Watch. You can’t activate the eSIM directly onto a network, it MUST be attached to an iPhone’s calling plan.